Arbeitsgebiete - Fields of interest

Stochastic Optimization

• Single- and multi-period risk functionals,
• Risk modeling and management,
• Structure and stability of multistage stochastic programs,
• Approximations and asymptotic analysis of stochastic programs,
• Numerical methods for mixed-integer multistage stochastic programs,
• Scenario generation and reduction for multistage stochastic programs,
• Stability and solution methods for chance constrained stochastic programs,
• Stability and numerical methods for PDE constrained optimization under uncertainty,
• Applied stochastic optimization models (production planning, power engineering,
  finance, revenue management, chemical engineering etc.).

Power Systems Optimization

• (Stochastic) Unit commitment in hydro-thermal power generation systems,
• Optimization of power generation and trading under uncertainty,
• Electricity risk management,
• Competition in electricity markets under uncertainty.

Airline Revenue Management

• Network airline revenue management under uncertain passenger demand.

Stochastic Equations

• Approximations and numerical methods for random equations,
• Numerical methods for stochastic differential (-algebraic) equations,
• Applications to noise simulation in electronic circuits.

Numerical Optimal Control

• Discretization schemes for optimal control problems.